Weak and strong discrete-time approximation of fractional SDEs∗

被引：0
|
作者：
Adrian Falkowski
Leszek Słomiński
Bartosz Ziemkiewicz
机构：
[1] Nicolaus Copernicus University,Faculty of Mathematics and Computer Science
来源：
Lithuanian Mathematical Journal | 2014年 / 54卷
关键词：
fractional Brownian motion; Gaussian processes; discrete-time approximations;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We study discrete-time approximations of Gaussian processes of the form ZH = ∫0.σsdBsH and of SDEs driven by ZH, where σ is a deterministic (possibly, discontinuous) function, and BH is a fractional Brownian motion with Hurst index H >1/2. The classical approximation methods used previously in the case σ ≡ 1 are refined. Our schemes are based on an integral representation of BH given by Decreusefond and Ustunel. Applications to approximation of option prices in fractional models are given.
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页码：409 / 428
页数：19
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